Econometric Methods (BDPEMS)
Lecturer: Prof. Dr. Lars Winkelmann, Anton Velinov, Ph.D.
- Lecture and exercise sessions
Lecture: Friday, 9am - 1pm
- Starting October 19, Hs 104, Garystr. 21
Exercise session: Monday, 10am - noon
- Starting October 22, Hs 104, Garystr. 21
- Course Content:
Econometric Methods I Part I covers commonly used estimation techniques, such as Ordinary Least Squares, Maximum Likelihood, Generalized Least Squares, etc. The Generalized Method of Moments framework is introduced and several popular estimators (IV, 2SLS, 3SLS, FE, RE) are derived from it. Part II provides a survey of the theory of time series methods in econometrics. Topics include univariate stationary and non-stationary models, vector autoregressions, cointegration and volatility models. Asymptotic properties of estimators are an integral part of the course and are derived throughout the lectures.
- Textbooks Part I:
- Hayashi, F. "Econometrics"
- Greene, W. "Econometric Analysis"
- Judge, G. et al. "Introduction to the Theory and Practice of Econometrics"
- Hamilton, J.D., “Time Series Analysis”
- Lütkepohl, H. “New Introduction to Multiple Time Series Analysis”
- Course language: English